A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic
Year of publication: |
2008-06-30
|
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Authors: | Nielsen, Morten Ørregaard |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Augmented Dickey-Fuller test | fractional integration | GLS detrending | nonparametric | nuisance parameter | tuning parameter | power envelope | unit root test | variance ratio |
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Nielsen, Morten Ørregaard, (2008)
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Nielsen, Morten Ørregaard, (2008)
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A powerful tuning parameter free test of the autoregressive unit root hypothesis
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